Jefferson certainly wasn't a Christian in the traditional sense. He was opposed to celebrating Thanksgiving as a national Holiday because he felt it was too religious.
Actually from reading he signed the proclamations at the state level. However, he did oppose it at the national level, as any good conservative would. It's not the business of the national government to set aside days for holidays. This goes for every major holiday, special day, birthday, etc. recognized by the national government. If the states want to, which they did and still do, let them handle holidays.